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Publikováno v:
In Journal of Banking and Finance February 2025 171
Autor:
Jayaraman, Sarath Kumar
This thesis studies the pricing of European style derivatives with various affine models. Most of this thesis focuses on the impact of long memory on asset return modelling and option pricing. We propose a general discrete-time pricing framework base
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b0508bce3ef1c7a4974765a285b6ec86
Publikováno v:
Journal of Futures Markets; Dec2020, Vol. 40 Issue 12, p1880-1917, 38p